This sentence makes no sense in any language or country. Rome is an international and famous city, which is not in Pisa? Barcelona es una bonita y hermosa ciudad que no se encuentra en Madrid? When does it happen that cities (even non international, non famous ones) are inside other cities?
This sentence should be replaced with another one, about cats and wine and rhinos and pancakes, in the true Duolingo style..

As it happens, Utrecht is as well a city as a province in Holland. (Holland is the part of the Netherlands that was historically containing Noord-Holland, Zuid-Holland en Utrecht.)
They state here, that Den Haag is not situated in the province of Utrecht.
Although I have my doubts about this sentence, it is not quite as bad as you may think.